arch_stat {tsfeatures} | R Documentation |
ARCH LM Statistic
Description
Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the value of an autoregressive model of order
lags
applied
to .
Usage
arch_stat(x, lags = 12, demean = TRUE)
Arguments
x |
a univariate time series |
lags |
Number of lags to use in the test |
demean |
Should data have mean removed before test applied? |
Value
A numeric value.
Author(s)
Yanfei Kang
[Package tsfeatures version 1.1.1 Index]